A cross-country study on informed herding

The access to fundamental information prompts traders to buy or sell a security collectively until its market price arrives at the equilibrium value, which this paper terms informed herding. Using a large sample covering the tick-by-tick data, we conduct a cross-country study to examine whether informed herding pervades in the international markets. The empirical finding lends strong support to the global presence of informed herding. Moreover, the effect of informed herding remains significant despite using various robustness checks. Eventually, we discover that informed herding is likely to be driven by two macro-level institutional characteristics: corporate transparency and foreign accessibility.